## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ G: Financial Economics

/ / G1: General Financial Markets

/ / /

**G13: Contingent Pricing; Futures Pricing**

Most recent items first, undated at the end.

**Performance-Sensitive Government Bonds**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**Implied Volatility and the Risk-Free Rate of Return in Options Markets**

*by*Marcelo Bianconi & Scott MacLachlan & Marco Sammon

**Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize**

*by*Susari Geldenhuys, Frans Dreyer and Chris van Heerden

**Entendiendo los mercados de swaps: Un enfoque de equilibrio general**

*by*Venegas-Martínez, Francisco

**Analytic Approximation of Finite-Maturity Timer Option Prices**

*by*Li, Minqiang

**Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach**

*by*Li, Minqiang

**Risk, Ambiguity, and the Exercise of Employee Stock Options**

*by*Yehuda Izhakian & David Yermack

**Effects of Index-Fund Investing on Commodity Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index**

*by*Gresse, Carole & Deville, Laurent & De Séverac, Béatrice

**Are Employee Stock Option Exercise Decisions Better Explained through the Prospect Theory?**

*by*Bahaji, Hamza

**IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi**

*by*Rifat KARAKUS & Israfil ZOR

**Bank equity risk under bailout programs of loan guarantee and/or equity capital injection**

*by*Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming

**Speculators, commodities and cross-market linkages**

*by*Büyükşahin, Bahattin & Robe, Michel A.

**Bubbles in food commodity markets: Four decades of evidence**

*by*Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

**Currency jumps, cojumps and the role of macro news**

*by*Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram

**The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market**

*by*Loon, Yee Cheng & Zhong, Zhaodong Ken

**Does option trading convey stock price information?**

*by*Hu, Jianfeng

**Trading in derivatives when the underlying is scarce**

*by*Banerjee, Snehal & Graveline, Jeremy J.

**Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube**

*by*Leippold, Markus & Strømberg, Jacob

**Close form pricing formulas for Coupon Cancellable CoCos**

*by*Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

**The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market**

*by*Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

**Catalysts for price discovery in the European Union Emissions Trading System**

*by*Schultz, Emma & Swieringa, John

**The determinants of CDS spreads**

*by*Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

**Are there common factors in individual commodity futures returns?**

*by*Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

**The importance of the volatility risk premium for volatility forecasting**

*by*Prokopczuk, Marcel & Wese Simen, Chardin

**Is recovery risk priced?**

*by*Schläfer, Timo & Uhrig-Homburg, Marliese

**The market microstructure of the European climate exchange**

*by*Mizrach, Bruce & Otsubo, Yoichi

**Volatility spreads and earnings announcement returns**

*by*Atilgan, Yigit

**Unbiasedness and risk premiums in the Indian currency futures market**

*by*Kumar, Satish & Trück, Stefan

**A risk-based premium: What does it mean for DB plan sponsors?**

*by*Chen, An & Uzelac, Filip

**Option pricing with stochastic liquidity risk: Theory and evidence**

*by*Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei

**The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default**

*by*Spencer, Peter

**On the investment–uncertainty relationship: A game theoretic real option approach**

*by*Lukas, Elmar & Welling, Andreas

**Option pricing under stochastic volatility and tempered stable Lévy jumps**

*by*Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

**Trend following, risk parity and momentum in commodity futures**

*by*Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

**Bidirectional causality in oil and gas markets**

*by*Halova Wolfe, Marketa & Rosenman, Robert

**Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities**

*by*Maxwell, Christian & Davison, Matt

**Reporting bias in incomplete information model**

*by*Peat, Maurice & Svec, Jiri & Wang, Jue

**Pricing foreign equity options with regime-switching**

*by*Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

**Calendar anomalies in cash and stock index futures: International evidence**

*by*Floros, Christos & Salvador, Enrique

**Extreme value statistics and recurrence intervals of NYMEX energy futures volatility**

*by*Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing

**Volatility transmission in agricultural futures markets**

*by*Beckmann, Joscha & Czudaj, Robert

**Analyses of retirement benefits with options**

*by*Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

**Valuation of stock loans with jump risk**

*by*Cai, Ning & Sun, Lihua

**Determinants of corporate call policy for convertible bonds**

*by*King, Tao-Hsien Dolly & Mauer, David C.

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**Option Pricing with a Dynamic Fat-Tailed Model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas F.

**Le rôle du marché à terme et du marché au comptant dans la formation des prix des matières premières**

*by*Lautier, Delphine & Lambinet, Rémy

**Energy Finance: The case for derivative markets**

*by*Lautier, Delphine

**The reactive volatility model**

*by*Valeyre, Sébastien & Grebenkov, Denis & Aboura, Sofiane & Liu, Qian

**Systemic Risk and Complex Systems: A Graph-Theory Analysis**

*by*Lautier, Delphine & Raynaud, Franck

**A Stochastic Model for Natural Gas Consumption: An Application for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Coherent Price Systems and Uncertainty-Neutral Valuation**

*by*Beißner, Patrick

**Sovereign Asset Values and Implications for the Credit Market**

*by*Posch, Peter N & Kalteier, Eva-Maria

**Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect**

*by*Adams, Zeno & Glück, Thorsten

**Option-implied information and predictability of extreme returns**

*by*Vilkovz, Grigory & Xiaox, Yan

**Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?**

*by*Grove, Nico & Agic, Damir & Sedlmeir, Joachim

**Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference**

*by*da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

**Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**Granularity of corporate debt**

*by*Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef

**Which beta is best? On the information content of option-implied betas**

*by*Baule, Rainer & Korn, Olaf & Saßning, Sven

**The behavior of the hazard rate in the Gaussian structural default model under asymmetric information**

*by*Peter Spencer

**Revisiting the relationship between spot and futures prices in the Nord Pool electricity market**

*by*Rafal Weron & Michal Zator

**Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis**

*by*Michal Zator

**Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees**

*by*Kevin Fergusson & Eckhard Platen

**The Return-Volatility Relation in Commodity Futures Markets**

*by*Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To

**The Trade-off Theory Revisited: On the Effect of Operating Leverage**

*by*Kristoffer Glover & Gerhard Hambusch

**Electricity Spot and Derivatives Pricing when Markets are Interconnected**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Electricity Derivatives Pricing with Forward-Looking Information**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Variance Risk Premiums in Foreign Exchange Markets**

*by*Ammann, Manuel & Buesser, Ralf

**Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data**

*by*Audrino, Francesco & Fengler, Matthias

**On the closed-form approximation of short-time random strike options**

*by*Elisa Alòs & Jorge A. León

**Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study**

*by*Alberto Fernández Muñoz de Morales

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri**

*by*Doruk Kucuksarac & Ozgur Ozel

**Systemic Risk Contribution of Individual Banks**

*by*Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles

**Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum**

*by*Sophie van Huellen

**The structure of competitive equilibrium with unsecured debt**

*by*Gaetano Bloise

**Default dependence structure effects on the valuation of government guarantees**

*by*Carlo Domenico Mottura & Luca Passalacqua

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor

**Discounting Cashflows from Illiquid Assets on Bank Balance Sheets**

*by*Nauta, Bert-Jan

**An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies**

*by*Arizmendi, Luis-Felipe

**Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis**

*by*So, Leh-chyan

**Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches**

*by*Lee, Y. & So, Leh-chyan

**The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis**

*by*Nath, Golaka

**Mental Accounting: A Closed-Form Alternative to the Black Scholes Model**

*by*Siddiqi, Hammad

**Interest rate modeling under multiple discounting curves**

*by*García Muñoz, Luis Manuel

**International Linkages of Agri-Processed and Energy commodities traded in India**

*by*Sinha, Pankaj & Mathur, Kritika

**Specifying An Efficient Renewable Energy Feed-in Tariff**

*by*Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán

**Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets**

*by*Fulli-Lemaire, Nicolas & Palidda, Ernesto

**Analogy Making, Option Prices, and Implied Volatility**

*by*Siddiqi, Hammad

**On the liquidity of CAC 40 index options Market**

*by*François-Heude, Alain & Yousfi, Ouidad

**A Generalization of Gray and Whaley's Option**

*by*François-Heude, Alain & Yousfi, Ouidad

**Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds**

*by*Xiao, Tim

**Funding Cost and a New Capital Model**

*by*Hannah, Lincoln

**Rwanda’s involvement in Eastern DRC: A criminal real options approach**

*by*Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip

**Mean-Reverting Logarithmic Modeling of VIX**

*by*Bao, Qunfang

**On option pricing in illiquid markets with random jumps**

*by*El-khatib, Youssef & Hatemi-J, Abdulnasser

**A Note on Discounting and Funding Value Adjustments for Derivatives**

*by*Han, Meng & He, Yeqi & Zhang, Hu

**CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions**

*by*García Muñoz, Luis Manuel

**On multi-particle Brownian survivals and the spherical Laplacian**

*by*B S, Balakrishna

**Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index**

*by*Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Model-free Implied Volatility Index of Japanese Stock Market**

*by*Nattapol TAKKABUTR

**A tractable framework for zero lower bound Gaussian term structure models**

*by*Leo Krippner

**Option Prices in a Model with Stochastic Disaster Risk**

*by*Sang Byung Seo & Jessica A. Wachter

**The Joint Cross Section of Stocks and Options**

*by*Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

**Tail Risk and Asset Prices**

*by*Bryan Kelly & Hao Jiang

**Deflation Risk**

*by*Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig

**Commodity and Asset Pricing Models: An Integration**

*by*Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

**Wall Street vs. Main Street: An Evaluation of Probabilities**

*by*Robin L. Lumsdaine & Rogier J.D. Potter van Loon

**Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files**

*by*Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

**Risk Premia in Crude Oil Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**Liability Investment with Downside Risk**

*by*Andrew Ang & Bingxu Chen & Suresh Sundaresan

**The Simple Economics of Commodity Price Speculation**

*by*Christopher R. Knittel & Robert S. Pindyck

**A model for dependent defaults and pricing contingent claims with counterparty risk**

*by*Dariusz Gatarek & Juliusz Jabłecki

**Volatility co-movements: a time scale decomposition analysis**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis**

*by*Chiara Pederzoli & Costanza Torricelli

**A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises**

*by*Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

**Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses**

*by*John T. Cuddington & Arturo L. Va'squez Cordano

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period**

*by*Georges Dionne & Olfa Maalaoui Chun

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics:An Overview**

*by*Chia-Lin Chang & David E Allen & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Adjusted Money's Worth Ratios in Life Annuities**

*by*Jaime Casassus & Eduardo Walker

**Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain**

*by*Monica Giulietti & Luigi Grossi

**State Price Densities implied from weather derivatives**

*by*Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

**Reference Dependent Preferences and the EPK Puzzle**

*by*Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer &

**Comparative statics for real options on oil: What stylized facts to use?**

*by*Lund, Diderik & Nymoen, Ragnar

**No Good Deals - No Bad Models**

*by*Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

**Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market**

*by*Gianluca Stefani & Marco Tiberti

**Arbitrage-free models of stocks and bonds**

*by*Durham, J. Benson

**Monetary policy surprises, positions of traders, and changes in commodity futures prices**

*by*Gospodinov, Nikolay & Jamali, Ibrahim

**Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation**

*by*Matteo Manera & Marcella Nicolini

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chang, C-L. & Allen, D.E. & McAleer, M.J.

**Faster solutions for Black zero lower bound term structure models**

*by*Leo Krippner

**A tractable framework for zero-lower-bound Gaussian term structure models**

*by*Leo Krippner

**Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors**

*by*Serkan Arslanalp & Yin Liao

**Comovement of Corporate Bonds and Equities**

*by*Bao, Jack & Hou, Kewei

**What's Beneath the Surface? Option Pricing with Multifrequency Latent States**

*by*Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

**What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds**

*by*Dirk Broeders & Paul Hilbers & David Rijsbergen

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Estimating Implied Recovery Rates from the Term Structure of CDS Spreads**

*by*Marcin Jaskowski & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**A simple equilibrium model for a commodity market with spot trades and futures contracts**

*by*Ekeland, Ivar & Lautier, Delphine & Villeneuve, Bertrand

**On the inefficiency of Brownian motions and heavier tailed price processes**

*by*Alejandro Balbás & Beatriz Balbás & Raquel Balbás

**Volatility Risk Premia and Exchange Rate Predictability**

*by*Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

**Factor-Based Time Changes: Properties and Fit**

*by*Elisa Luciano & Marina Marena & Patrizia Semeraro

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Subprime borrowers, securitization and the transmission of business cycles**

*by*Anna Grodecka

**On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms**

*by*Evangelos C. Charalambakis

**Coherent price systems and uncertainty-neutral valuation**

*by*Patrick Beißner

**The Determinants Of Cds Spreads**

*by*Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

**CoMargin**

*by*Selma Chaker & Nour Meddahi

**The Financialization of Food?**

*by*Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

**Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets**

*by*Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI

**The Factor Structure in Equity Options**

*by*Peter Christoffersen & Mathieu Fournier & Kris Jacobs

**Rare Disasters and Credit Market Puzzles**

*by*Peter Christoffersen & Du Du & Redouane Elkamhi

**Risk premia in energy markets**

*by*Almut E. D. Veraart & Luitgard A. M. Veraart

**The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps**

*by*William Arrata & Alejandro Bernales & Virginie Coudert

**Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study**

*by*Luca GRILLI & Angelo SFRECOLA

**A Study On Efficiency Of Steel Futures Market In India**

*by*SURESH CHANDRA BIHARI & JAYASHREE KOTAGI

**Valuation And Investment Profession**

*by*Dedi, Lidija & Giraudon, Philippe

**Fragility of Competitive Equilibrium with Risk of Default**

*by*Gaetano Bloise & Pietro Reichlin & Mario Tirelli

**Significance of Volatility in Option Pricing**

*by*Pochea Maria-Miruna & Filip Angela-Maria

**Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market**

*by*Safi Ullah Khan & Zaheer Abbas

**Sovereign Risk and Asset and Liability Management—Conceptual Issues**

*by*Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova

**Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market**

*by*TAKKABUTR, NATTAPOL

**Sovereign asset values and implications for the credit market**

*by*Kalteier, Eva-Maria & Posch, Peter N.

**Bank capital regulation in a cap option framework**

*by*Tsai, Jeng-Yan & Hung, Wei-Ming

**Futures mispricing, order imbalance, and short-selling constraints**

*by*Lin, Emily & Lee, Cheng-Few & Wang, Kehluh

**Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage**

*by*Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying

**Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market**

*by*Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun

**An empirical study of credit spreads in an emerging market: The case of Korea**

*by*Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon

**An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection**

*by*Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar

**What drives corporate default risk premia? Evidence from the CDS market**

*by*Díaz, Antonio & Groba, Jonatan & Serrano, Pedro

**What determines Euro area bank CDS spreads?**

*by*Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina

**Liquidity risk of corporate bond returns: conditional approach**

*by*Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.

**Investment shocks and the commodity basis spread**

*by*Yang, Fan

**Predictability of currency carry trades and asset pricing implications**

*by*Bakshi, Gurdip & Panayotov, George

**Limits to arbitrage and hedging: Evidence from commodity markets**

*by*Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun

**Valuation of VIX derivatives**

*by*Mencía, Javier & Sentana, Enrique

**Systemic risk and the refinancing ratchet effect**

*by*Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C.

**Cross section of option returns and idiosyncratic stock volatility**

*by*Cao, Jie & Han, Bing

**Realizing smiles: Options pricing with realized volatility**

*by*Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide

**Is there price discovery in equity options?**

*by*Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John

**Diagnosing affine models of options pricing: Evidence from VIX**

*by*Li, Gang & Zhang, Chu

**Large games with a bio-social typology**

*by*Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao

**Consumption and bubbles**

*by*Loewenstein, Mark & Willard, Gregory A.

**Mitigating financial fragility with Continuous Workout Mortgages**

*by*Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B.

**Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis**

*by*Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing

**Overconfident individual day traders: Evidence from the Taiwan futures market**

*by*Kuo, Wei-Yu & Lin, Tse-Chun

**The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium**

*by*Ederington, Louis H. & Guan, Wei

**Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach**

*by*Perrakis, Stylianos & Boloorforoosh, Ali

**Dynamics of credit spread moments of European corporate bond indexes**

*by*Alizadeh, Amir H. & Gabrielsen, Alexandros

**Sarbanes-Oxley Act and corporate credit spreads**

*by*Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.

**Pricing discrete path-dependent options under a double exponential jump–diffusion model**

*by*Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang

**Capturing the risk premium of commodity futures: The role of hedging pressure**

*by*Basu, Devraj & Miffre, Joëlle

**Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach**

*by*Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina

**Hedging structured credit products during the credit crisis: A horse race of 10 models**

*by*Ascheberg, Marius & Bick, Björn & Kraft, Holger

**The effects of external financing costs on investment timing and sizing decisions**

*by*Nishihara, Michi & Shibata, Takashi

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**Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?**

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

**Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México**

*by*Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

**Debt reorganization strategies with complete verification under information asymmetry**

*by*Shibata, Takashi & Tian, Yuan

**Call-pricing equity returns and default risks of entry mode with brand perception in retail banking**

*by*Tsai, Jeng-Yan & Chang, Chuen-Ping

**Empirical estimation of the option premium for residential redevelopment**

*by*Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.

**Efficient growth boundaries in the presence of population externalities and stochastic rents**

*by*Jou, Jyh-Bang

**The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study**

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**Pinning in the S&P 500 futures**

*by*Golez, Benjamin & Jackwerth, Jens Carsten

**Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options**

*by*Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

**The option to stock volume ratio and future returns**

*by*Johnson, Travis L. & So, Eric C.

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

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*by*Hong, Harrison & Yogo, Motohiro

**U.S. stock market crash risk, 1926–2010**

*by*Bates, David S.

**Pricing of commercial real estate securities during the 2007–2009 financial crisis**

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

*by*Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

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**Counterparty credit risk and the credit default swap market**

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**CAPM for estimating the cost of equity capital: Interpreting the empirical evidence**

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**Rational asset pricing bubbles and portfolio constraints**

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**Conservative traders, natural selection and market efficiency**

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**Anchoring bias in the TARP warrant negotiations**

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**Derivatives traders’ reaction to mispricing in the underlying equity**

*by*Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi

**Real options and earnings-based bonus compensation**

*by*Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta

**Volatility spillovers and the effect of news announcements**

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**Asset pricing with Second-Order Esscher Transforms**

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**Endogenizing exogenous default barrier models: The MM algorithm**

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**Keep on smiling? The pricing of Quanto options when all covariances are stochastic**

*by*Branger, Nicole & Muck, Matthias

**The term structure of illiquidity premia**

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**Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis**

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**A comparative study of the probability of default for global financial firms**

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**Option-implied volatility factors and the cross-section of market risk premia**

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**Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models**

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**Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions**

*by*Kaeck, Andreas & Alexander, Carol

**Corporate taxes, strategic default, and the cost of debt**

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**30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements**

*by*Smales, Lee A.

**The options market response to accounting earnings announcements**

*by*Truong, Cameron & Corrado, Charles & Chen, Yangyang

**Valuing equity-linked death benefits and other contingent options: A discounted density approach**

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**Dynamic hedging of conditional value-at-risk**

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**An investor sentiment barometer — Greek Implied Volatility Index (GRIV)**

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**Escaping TARP**

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**Stock option contract adjustments: The case of special dividends**

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**Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008**

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**The relationship between reciprocal currency futures prices**

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**Barrier option pricing for exchange rates under the Levy–HJM processes**

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**Option pricing and ARCH processes**

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**Discrete time hedging with liquidity risk**

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**Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory**

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**A jump-diffusion approach to modelling vulnerable option pricing**

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**Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage**

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**Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis**

*by*Tao, Juan & Green, Christopher J.

**Short-sale constraints and efficiency of the spot–futures dynamics**

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**A contingent claim analysis of sunflower management under board monitoring and capital regulation**

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**Market efficiency and risk premia in short-term forward prices**

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**Clustering in crude oil prices and the target pricing zone hypothesis**

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**Integration of the global carbon markets**

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**Modeling and explaining the dynamics of European Union Allowance prices at high-frequency**

*by*Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

**Testing the Masters Hypothesis in commodity futures markets**

*by*Irwin, Scott H. & Sanders, Dwight R.

**Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies**

*by*Sadorsky, Perry

**How much should we pay for interconnecting electricity markets? A real options approach**

*by*Cartea, Álvaro & González-Pedraz, Carlos

**How to allocate forward contracts: The case of electricity markets**

*by*de Frutos, María-Ángeles & Fabra, Natalia

**Gauging potential sovereign risk contagion in Europe**

*by*Fong, Tom Pak Wing & Wong, Alfred Y-T.

**Futures basis, inventory and commodity price volatility: An empirical analysis**

*by*Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

**The impact of convertible debt financing on investment timing**

*by*Yagi, Kyoko & Takashima, Ryuta

**Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest**

*by*Bao, Qunfang & Chen, Si & Li, Shenghong

**Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’**

*by*Lin, Yueh-Neng & Chang, Chien-Hung

**A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’**

*by*Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E.

**Fair demographic risk sharing in defined contribution pension systems**

*by*Gabay, Daniel & Grasselli, Martino

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Hackbarth, Dirk & Miao, Jianjun

**Good timing: The economics of optimal stopping**

*by*Davis, Graham A. & Cairns, Robert D.

**Evaluating callable and putable bonds: An eigenfunction expansion approach**

*by*Lim, Dongjae & Li, Lingfei & Linetsky, Vadim

**Valuation of power options under Heston's stochastic volatility model**

*by*Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk

**Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle**

*by*Barinov, Alexander

**How should firms selectively hedge? Resolving the selective hedging puzzle**

*by*Wojakowski, Rafał M.

**Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis**

*by*Saban Celik

**A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions**

*by*Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

**Commodity Investing**

*by*K. Geert Rouwenhorst & Ke Tang

**Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor**

*by*Mircea Gabriel Ciolpan & Jenica Popescu

**Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options**

*by*Richard Ebil Ottoo

**Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data**

*by*Yacine A�t-Sahalia & Jean Jacod

**Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes**

*by*Ana Fostel & John Geanakoplos

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**Time-Consistent and Market-Consistent Evaluations (replaced by CentER DP 2012-086)**

*by*Pelsser, A. & Stadje, M.A.

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Inflation et désinflation**

*by*Bezbakh, Pierre

**A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration**

*by*Huault, Isabelle & Rainelli, Hélène

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Options introduction and volatility in the EU ETS**

*by*Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît

**A Finite-Dimensional Approximation for Pricing Moving Average Options**

*by*Bernhart, Marie & Tankov, Peter & Warin, Xavier

**The Relation Between Oil and Gas Returns: a Factor Analysis**

*by*Sévi, Benoît & Le Pen, Yannick & Chevallier, Julien & Bunn, Derek

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Sentimental Preferences and the Organizational Regime of Betting Markets**

*by*Egon Franck & Erwin Verbeek & Stephan Nüesch

**The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening**

*by*Chiara Coluzzi

**A General Structural Approach For Credit Modeling Under Stochastic Volatility**

*by*Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi

**A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading**

*by*Fragniere, Emmanuel & Markov, Iliya

**Interest Rates After the Credit Crunch: Markets and Models Evolution**

*by*Bianchetti, Marco & Carlicchi, Mattia

**Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel**

*by*Sebastian Lobe & Klaus Röder

**Pricing of temperature-based weather options for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ

**Efficiency and hedging effectiveness in the NYMEX crude oil futures market**

*by*Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

**Price discovery in spot and futures markets: A reconsideration**

*by*Theissen, Erik

**Does modeling framework matter? A comparative study of structural and reduced-form models**

*by*Gündüz, Yalin & Uhrig-Homburg, Marliese

**Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes**

*by*Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila

**Option pricing in subdiffusive Bachelier model**

*by*Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

**Three-Benchmarked Risk Minimization for Jump Diffusion Markets**

*by*Ke Du & Eckhard Platen

**Do financial investors affect commodity prices? The case of Hard Red Winter Wheat**

*by*Daniele Girardi

**Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints**

*by*Fengler, Matthias & Hin, Lin-Yee

**A General Equilibrium Model of Environmental Option Values**

*by*Iain Fraser & Katsuyuki Shibayama

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**(Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720**

*by*Gary S. Shea

**A Social Network for Trade and Inventories of Stock during the South Sea Bubble**

*by*Gary S. Shea

**East India Company and Bank of England Shareholders during the South Sea Bubble: Partitions, Components and Connectivity in a Dynamic Trading Network**

*by*Andrew Mays & Gary S. Shea

**Does Stock Return Predictability Affect ESO Fair Value?**

*by*CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

**A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area**

*by*Martín Saldías

**On the demand pressure hypothesis in option markets: the case of a redundant option**

*by*Bennour, Khaled

**Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market**

*by*P., Srinivasan

**HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates**

*by*Lozano Rojas, Felipe Andres

**The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management**

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

**International stock market comovements: what happened during the financial crisis?**

*by*Horvath, Roman & Poldauf, Petr

**Financial Management of Weather Risk with Energy Derivatives**

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

*by*Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga

**An efficient lattice algorithm for the libor market model**

*by*Tim, Xiao

**Thinking by analogy, systematic risk, and option prices**

*by*Siddiqi, Hammad

**One numerical procedure for two risk factors modeling**

*by*Cocozza, Rosa & De Simone, Antonio

**Hedging vs. speculative pressures on commodity futures returns**

*by*Cifarelli, Giulio & Paladino, Giovanna

**A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility**

*by*Gonçalo Faria & João Correia-da-Silva

**The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices**

*by*Gonçalo Faria & João Correia-da-Silva

**Investment timing with fixed and proportional costs of external financing**

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

**A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees**

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

*by*Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

**Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe**

*by*Andrew Ang & Francis A. Longstaff

**Generalized Transform Analysis of Affine Processes and Applications in Finance**

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

*by*Ian Martin

**Limits to Arbitrage and Hedging: Evidence from Commodity Markets**

*by*Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai

**Margin-Based Asset Pricing and Deviations from the Law of One Price**

*by*Nicolae Gârleanu & Lasse Heje Pedersen

**Investors’ and Central Bank’s Uncertainty Embedded in Index Options**

*by*Alexander David & Pietro Veronesi

**What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?**

*by*Harrison Hong & Motohiro Yogo

**Corridor implied volatility and the variance risk premium in the Italian market**

*by*Silvia Muzzioli

**Beating the Random Walk in Central and Eastern Europe by Survey Forecasts**

*by*Anna Naszódi

**Testing the asset pricing model of exchange rates with survey data**

*by*Anna Naszódi

**Spot and future prices of agricultural commodities: fundamentals and speculation**

*by*Lucia BALDI & Massimo PERI & Daniela VANDONE

**A Structural Balance Sheet Model of Sovereign Credit Risk**

*by*Pascal François & Georges Hübner & Jean-Roch Sibille

**Currency Total Return Swaps: Valuation and Risk Factor Analysis**

*by*Romain Cuchet & Pascal François & Georges Hübner

**Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings**

*by*Jos van Bommel

**Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings**

*by*Jos van Bommel

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**Testing option pricing models: complete and incomplete markets**

*by*Olesia Verchenko

**The Puzzle of Index Option Returns**

*by*George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov

**Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns**

*by*Jaime Casassus & Peng Liu & Ke Tang

**Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**Liquidity considerations in estimating implied volatility**

*by*Rohini Grover & Susan Thomas

**Pricing Nikkei 225 Options Using Realized Volatility**

*by*Masato Ubukata & Toshiaki Watanabe

**Calibration of selfdecomposable Lévy models**

*by*Mathias Trabs

**Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives**

*by*Wolfgang Härdle & Maria Osipenko

**Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011**

*by*Cho-Hoi Hui & Tom Fong

**Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares**

*by*Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui

**Concocting Marketable Cocos**

*by*George M. von Furstenberg

**Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data**

*by*Song Han & Hao Zhou

**Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model**

*by*Jason West

**Adaptive continuous time Markov chain approximation model to general jump-diffusions**

*by*Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias

**Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability**

*by*Isakov, Dusan & Marti, Didier

**Pricing of Gas Swing Options using Monte Carlo Methods**

*by*Andrea Klimešová & Tomáš Václavík

**Modelling Long-Term Electricity Contracts at EEX**

*by*Robert Flasza & Milan Rippel & Jan Šolc

**Modifying Gaussian term structure models when interest rates are near the zero lower bound**

*by*Leo Krippner

**Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors**

*by*Bakshi, Gurdip & Chabi-Yo, Fousseni

**Informational Efficiency in Futures Markets for Crude Oil**

*by*Andreas Fritz & Christoph Weber

**Valuation of Liabilities in Hybrid Pension Plans**

*by*Dirk Broeders & An Chen & David Rijsbergen

**Employee Stock Options Incentive Effects: A CPT-Based Model**

*by*Bahaji, Hamza

**A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices**

*by*Zakoïan, Jean-Michel & Regnard, Nazim

**Hedging and vertical integration in electricity markets**

*by*Chemla, Gilles & Porchet, Arnaud & Aïd, René & Touzi, Nizar

**Continuous Workout Mortgages**

*by*Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

**Good deals in markets with frictions**

*by*Alejandro Balbás & Beatriz Balbás & Raquel Balbás

**Pairing market risk with credit risk**

*by*Isabel Figuerola-Ferretti & Ioannis Paraskevopoulos

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari

**CDS Auctions**

*by*Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor

**Hedging and Vertical Integration in Electricity Markets**

*by*Aïd, René & Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar

**Variance risk, financial intermediation, and the cross-section of expected option returns**

*by*Schürhoff, Norman & Ziegler, Alexandre

**The risk neutral valuation paradox**

*by*A. Fiori Maccioni

**The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis**

*by*Marc Gronwald & Janina Ketterer & Stefan Trück

**Options introduction and volatility in the EU ETS**

*by*Julien Chevallier & Yannick Le Pen & Benoît Sévi

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Jianjun Miao & Dirk Hackbarth

**The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees**

*by*Christian Hilpert & Jing Li & Alexander Szimayer

**American options with multiple priors in continuous time**

*by*Jörg Vorbrink

**Macroeconomic determinants of carry trade activity**

*by*Alessio Anzuini & Fabio Fornari

**Where is the value in high frequency trading?**

*by*Álvaro Cartea & José Penalva

**Volatility in EMU sovereign bond yields: Permanent and transitory components**

*by*Simón Sosvilla-Rivero & Amalia Morales-Zumaquero

**What we can learn from pricing 139,879 Individual Stock Options**

*by*Lars Stentoft

**Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability**

*by*Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen

**Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX**

*by*Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez

**Forecasting with Option Implied Information**

*by*Peter Christoffersen & Kris Jacobs & Bo Young Chang

**American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison**

*by*Lars Stentoft

**Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models**

*by*Antonis Papapantoleon & John Schoenmakers & David Skovmand

**Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach**

*by*Christian Bach & Bent Jesper Christensen

**Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market**

*by*Tripathy NALINIPRAVA

**Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy**

*by*Prasad V. BIDARKOTA & Brice V. DUPOYET

**Patent Valuation and Real Options**

*by*Alper, Deger

**Firm Decisions: Determinants of Investments**

*by*Ionescu Alexandra

**Financial Innovations**

*by*Piciu Gabriela Cornelia & Chiþiga Georgiana

**Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries**

*by*Anton Sorin Gabriel & Diaconasu Delia-Elena

**Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities**

*by*Łukasz Delong

**Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing**

*by*PEÑA, JUAN IGNACIO

**Commentary: Some Methodological Suggestions**

*by*Fumio Hayashi

**The Relationship between Volatility and Expected Returns: Some Evidence for Australia**

*by*Ali F. Darrat & Bin Li & Omar Benkato

**Herding the Mutual Fund Managers in the Athens Stock Exchange**

*by*Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos

**Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general**

*by*L. Arturo Bernal Ponce & Francisco Venegas Martínez

**Industry loss warranties: contract features, pricing, and central demand factors**

*by*Nadine Gatzert & Hato Schmeiser

**Flips, flops and foreclosures: anatomy of a real estate bubble**

*by*Dag Einar Sommervoll & Gavin Wood

**Options introduction and volatility in the EU ETS**

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**Default swaps and hedging credit baskets**

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**Accelerating the calibration of stochastic volatility models**

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**Extended-Gaussian Term Structure Models and Credit Risk Applications**

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**An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)**

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**A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)**

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**Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis**

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**Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models**

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**Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities**

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**Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices**

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**A Benchmark Approach to Portfolio Optimization under Partial Information**

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**Forecasting Implied Volatility Surfaces**

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**Ambiguity Aversion and the Term Structure of Interest Rates**

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**Interval LU-fuzzy arithmetic in the Black and Scholes option pricing**

*by*Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini

**Modelling Credit Spreads evolution using the Cox Process within the HJM framework**

*by*Viviana Fanelli & Silvana Musti

**Pricing of CDS Options with the HJM approach: a Numerical Implementation**

*by*Viviana Fanelli & Silvana Musti

**Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework**

*by*Luca Anzilli & Luigi De Cesare

**Strategic Technology Adoption and Market Dynamics as Option Games**

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**A Monte Carlo approach to value exchange options using a single stochastic factor**

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**Automated Likelihood Based Inference for Stochastic Volatility Models**

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**Automated Likelihood Based Inference for Stochastic Volatility Models**

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**Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues**

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**Contingent Claim Pricing In A Dual Expected Utility Theory Framework**

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**An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model**

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**A new Model for Stock Price Movements**

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**Decomposing and valuing callable convertible bonds: a new method based on exotic options**

*by*Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun

**The Impact of Return Nonnormality on Exchange Options**

*by*Li, Minqiang

**Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options**

*by*Saurabha, Rritu & Tiwari, Manvendra

**An Hilbert space approach for a class of arbitrage free implied volatilities models**

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**Joint Modeling of Call and Put Implied Volatility**

*by*Ahoniemi, Katja & Lanne, Markku

**Some mathematical properties of the futures market platform**

*by*Laib, Fodil & Laib, M.S.

**Integrating Multiple Commodities in a Model of Stochastic Price Dynamics**

*by*Paschke, Raphael & Prokopczuk, Marcel

**Moment Methods for Exotic Volatility Derivatives**

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**Callable Swaps, Snowballs And Videogames**

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**A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs**

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**Tradable measure of risk**

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**Free boundary and optimal stopping problems for American Asian options**

*by*Andrea, Pascucci

**Exchange Options**

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**Long run credit risk diversification: empirical decomposition of corporate bond spreads**

*by*Sun, David & Lin, William & Nieh, Chien-Chung

**Hedging Effectiveness under Conditions of Asymmetry**

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**Malliavin differentiability of the Heston volatility and applications to option pricing**

*by*Alos, Elisa & Ewald, Christian-Oliver

**CMS swaps in separable one-factor Gaussian LLM and HJM model**

*by*Henrard, Marc

**The irony in the derivatives discounting**

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**A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes**

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**Stressing rating criteria allowing for default clustering: the CPDO case**

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**Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options**

*by*Henrard, Marc

**Delayed Default Dependency and Default Contagion**

*by*Balakrishna, B S

**Corporate debt pricing I**

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**Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives**

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**Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab**

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**Explicit formulas for the minimal variance hedging strategy in a martingale case**

*by*Flavio Angelini & Stefano Herzel

**Measuring the error of dynamic hedging: a Laplace transform approach**

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**Partnerships vs. Firms Entry Strategies**

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**Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information**

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**The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism**

*by*Yasuo Takatsuki

**Optimal Portfolio Choice and Investment in Education**

*by*Egil Matsen & Snorre Lindset

**Construction and Interpretation of Model-Free Implied Volatility**

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**Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices**

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**Real Options With Uncertain Maturity and Competition**

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**The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market**

*by*Silvia Muzzioli

**Testing Market Efficiency and Price Discovery in European Carbon Markets**

*by*George Milunovich & Roselyne Joyeux

**A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors**

*by*Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

**On Debt Service and Renegotiation when Debt-holders Are More Strategic**

*by*Jean-Marc Bourgeon & Georges Dionne

**Sensitivities for Bermudan Options by Regression Methods**

*by*Denis Belomestny & Grigori Milstein & John Schoenmakers

**Statistics of Risk Aversion**

*by*Enzo Giacomini & Wolfgang Härdle

**Empirical Pricing Kernels and Investor Preferences**

*by*Kai Detlefsen & Wolfgang Härdle & Rouslan Moro

**Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?**

*by*Alexander K. Koch & Hui-Fai Shing

**Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?**

*by*Cho-Hoi Hui & Tom Fong

**Ratings Versus Market-Based Measures of Default Risk of East Asian Banks**

*by*Eric Wong & Cho-Hoi Hui & Chi-fai Lo

**Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar**

*by*Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo

**Measuring Market Sentiment in Hong Kong's Stock Market**

*by*Ip-wing Yu & Chi-sang Tam

**Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules**

*by*Hara, Chiaki & Huang, James & Kuzmics, Christoph

**Risk Exchange as a Market or Production Game**

*by*Borglin, Anders & Flåm, Sjur

**Rationalizing Constrained Contingent Claims**

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**Modelling Default Contagion Using Multivariate Phase-Type Distributions**

*by*Herbertsson, Alexander

**Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach**

*by*Herbertsson, Alexander

**Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach**

*by*Herbertsson, Alexander & Rootzén, Holger

**Accounting Transparency and the Term Structure of Credit Default Swap Spreads**

*by*Bajlum, Claus & Tind Larsen, Peter

**Risk exchange as a market or production game**

*by*Borglin, Anders & Flåm, Sjur Didrik

**Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers**

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**Forecasting Weekly Electricity Prices at Nord Pool**

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**Are Workers. Enterprises Entry Policies Conventional**

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**Hedging Exposure to Electricity Price Risk in a Value at Risk Framework**

*by*Huisman, R. & Mahieu, R.J. & Schlichter, F.

**Measuring idiosyncratic risks in leveraged buyout transactions**

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**Term Structure Modeling for Pension Funds:What to do in Practice?**

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**Regulatory Change and Micro Structure Effects in SPI Futures**

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**The Forward Premium Puzzle only emerges gradually**

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**Option Pricing and Momentum**

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**A Preference-Free Formula to Value Commodity Derivatives**

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**Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005**

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**What Do We Learn from the Price of Crude Oil Futures?**

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**Unlocking Value: Equity Carve outs as Strategic Real Options**

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**Understanding Index Option Returns**

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**Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion**

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**Stochastic Volatility: Risk Minimization and Model Risk**

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**Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators**

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**Estimating the Cost of Executive Stock Options: Evidence from Switzerland**

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**The Dynamics of Mergers and Acquisitions in Oligopolistic Industries**

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**The tail wags the dog: time-varying information shares in the Bund market**

*by*Christian Upper & Thomas Werner

**Parametric properties of semi-nonparametric distributions, with applications to option valuation**

*by*Ángel León & Javier Mencía & Enrique Sentana

**Price Discovery in Canadian and U.S. 10-Year Government Bond Markets**

*by*Bryan Campbell & Scott Hendry

**Price Discovery in Canadian Government Bond Futures and Spot Markets**

*by*Christopher Chung & Bryan Campbell & Scott Hendry

**Market Power in Power Markets: Evidence from Forward Prices of Electricity**

*by*Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard

**Construction and Interpretation of Model-Free Implied Volatility**

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**Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities**

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*by*Francisco Venegas-Martinez

**Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©**

*by*Merino, María & Vadillo, Fernando

**Party Influence in Congress and the Economy**

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**An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives**

*by*Chou-Wen Wang & Ting-Yi Wu

**General Equilibrium Stock Index Futures Pricing Allowing for Event Risk**

*by*Simon H. Yen & Jai Jen Wang

**Call an Put Implied Volatilities and the Derivation of Option Implied Trees**

*by*V. Moriggia, S. Muzzioli, C. Torricelli

**The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment**

*by*Francisco Venegas-Martínez & J. Víctor Reynoso-Vendrell

**The Closed-form Solution for Pricing American Put Options**

*by*Wang Xiaodong

**Measuring portfolio credit risk: modelling versus calibration errors**

*by*Nikola Tarashev & Haibin Zhu

**Economic derivatives**

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**Pricing the CBT T-Bonds Futures**

*by*Ramzi Ben Abdallah & Hatem Ben Ameur & MichÃ¨le Breton

**A closed form approach to valuing and hedging basket options**

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**Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics**

*by*Carl Chiarella & Andrew Ziogas

**Non-constant volatility models a comparison**

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**Threshold Autoregressive Models of the Commodities Futures Basis**

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**Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments**

*by*Dominique Pujal & Patrick Saint-Pierre

**Numerical Methods for American Spread Options under Jump Diffusion Processes**

*by*Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Meyer & Andrew Ziogas

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**The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach**

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**The determinants of the time to efficiency in options markets : a survival analysis approach**

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**Correlation and the Pension Protection Fund**

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**An overreaction implementation of the coherent market hypothesis and option pricing**

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**Risk preference based option pricing in a fractional Brownian market**

*by*Rostek, Stefan & Schöbel, Rainer

**Interest rate convexity and the volatility smile**

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**Strategic trading and manipulation with spot market power**

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**Stochastic modeling of private equity: an equilibrium based approach to fund valuation**

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**Forecasting the price of crude oil via convenience yield predictions**

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**Valuation of the Firm's Liabilities when Equity Holders are also Creditors**

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**The Target Rate and Term Structure of Interest Rates**

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**Equity Valuation Under Stochastic Interest Rates**

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**Book Values and Market Values of Equity and Debt**

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**Quadratic Term Structure Models in Discrete Time**

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**Financial engineering methods in insurance**

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**On the efficient application of the repeated Richardson extrapolation technique to option pricing**

*by*Luca Barzanti & Corrado Corradi & Martina Nardon

**On the Pricing and Hedging of Long Dated Zero Coupon Bonds**

*by*Eckhard Platen

**Approximating the Growth Optimal Portfolio with a Diversified World Stock Index**

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**Approximating the Growth Optimal Portfolio with a Diversified World Stock Index**

*by*Truc Le & Eckhard Platen

**On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance**

*by*Nicola Bruti-Liberati & Eckhard Platen

**Approximation of Jump Diffusions in Finance and Economics**

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**On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility**

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**Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles**

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**Stratégies d'investissement en actions et fonds à capital garanti**

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**A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion**

*by*André Farber & Van Huu Nguyen & Quan Hoang Vuong

**Realized Bond-Stock Correlation: Macroeconomic Announcement Effects**

*by*Charlotte Christiansen & Angelo Ranaldo

**Pricing problems of perpetual Bermudan options**

*by*Yoshifumi Muroi & Takashi Yamada

**Artificial Neural Network Enhanced Parametric Option Pricing**

*by*Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos

**Sir George Caswall vs. the Duke of Portland: Financial Contracts and Litigation in the wake of the South Sea Bubble**

*by*Gary S. Shea

**Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market**

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**The Returns to Currency Speculation**

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**Debt Dilution and Maturity Structure of Sovereign Bonds**

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**Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model**

*by*Damiano Brigo & Naoufel El-Bachir

**Optimal Hedging with Higher Moments**

*by*Chris Brooks & A.Cerny & J. Miffre

**Hedging Options with Scale-Invariant Models**

*by*Carol Alexander & Leonardo M. Nogueira

**Operator Methods, Abelian Processes And Dynamic Conditioning**

*by*Albanese, Claudio

**A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices**

*by*Albanese, Claudio & Lo, Harry & Stathis, Tompaidis

**Spectral Methods For Volatility Derivatives**

*by*Albanese, Claudio & Mijatovic, Aleksandar

**Higher-order volatility: dynamics and sensitivities**

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**Path-conditional forward volatility**

*by*Carey, Alexander

**Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels**

*by*Lin, William & Sun, David

**Accelerating the calibration of stochastic volatility models**

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*by*Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard & Revdal, Ingemar

**Bonds futures: Delta? No gamma!**

*by*Henrard, Marc

**Martingale Model**

*by*Giandomenico, Rossano

**Forecasting and testing a non-constant volatility**

*by*Abramov, Vyacheslav & Klebaner, Fima

**Valuing an American Put Option**

*by*Giandomenico, Rossano

**Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning**

*by*Henrard, Marc

**Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management**

*by*Giandomenico, Rossano

**Asset Liability Management in Insurance Company**

*by*Giandomenico, Rossano

**A Semi-Analytical Parametric Model for Dependent Defaults**

*by*Balakrishna, B S

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*by*ilya, gikhman

**TIPS Options in the Jarrow-Yildirim model**

*by*Henrard, Marc

**Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes**

*by*Francois-Éric Racicot & Raymond Théoret

**La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)**

*by*Francois-Éric Racicot & Raymond Théoret

**Les modèles HJM et LMM revisités**

*by*Francois-Éric Racicot & Raymond Théoret

**La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché**

*by*Francois-Éric Racicot & Raymond Théoret

**Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices**

*by*Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes

**Party Influence in Congress and the Economy**

*by*Erik Snowberg & Justin Wolfers & Eric Zitzewitz

**Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives**

*by*Anders B. Trolle & Eduardo S. Schwartz

**Bankruptcy and Collateral in Debt Constrained Markets**

*by*Timothy J. Kehoe & David K. Levine

**A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives**

*by*Anders B. Trolle & Eduardo S. Schwartz

**Interpreting Prediction Market Prices as Probabilities**

*by*Justin Wolfers & Eric Zitzewitz

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

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**Strategic Urban Development under Uncertainty**

*by*Flavia Cortelezzi & Pierpaolo Giannoccolo

**Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil**

*by*George Milunovich & Ronald D. Ripple

**Heterogeneous Basket Options Pricing Using Analytical Approximations**

*by*Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani

**Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks**

*by*Chiaki Hara & James Huang & Christoph Kuzmics

**Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules**

*by*Chiaki Hara & James Huang & Christoph Kuzmics

**Bankruptcy, Counterparty Risk, and Contagion**

*by*Holger Kraft & Mogens Steffensen

**Interpreting Prediction Market Prices as Probabilities**

*by*Wolfers, Justin & Zitzewitz, Eric

**Interpreting Prediction Market Prices as Probabilities**

*by*Justin Wolfers & Eric Zitzewitz

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric

**Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections**

*by*Erik Snowberg & Justin Wolfers & Eric Zitzewitz

**Underdeveloped spot markets and futures trading: The Soya Oil exchange in India**

*by*Bharat Ramaswami & Jatinder Bir Singh

**Convenience Yields for CO2 Emission Allowance Futures Contracts**

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**Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps**

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**Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing**

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**Integral Options in Models with Jumps**

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**On Maximal Inequalities for some Jump Processes**

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**Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes**

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**Perpetual Barrier Options in Jump-Diffusion Models**

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**Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon**

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**Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"**

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**Derivatives in a Dynamic Environment**

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**Applications of Option-Pricing Theory: Twenty-Five Years Later**

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**Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability**

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**Equilibrium Valuation of Currency Options in a Small Open Economy**

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**Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)**

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**The Stability of ARCH Models Across Australian Financial Markets**

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**The Impact of the Return Interval on The estimation of Systematic Risk in Australia**

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**Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period**

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**Pricing American-Style Securities Using Simulation**

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**Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures**

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**The Timing of Arbitrage: An Option Approach**

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**Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)**

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**An Alternative Valuation Model for Contingent Claims**

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**Estimation of Continuous Time Models for Stock Returns and Interest Rates**

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**A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks**

*by*James M. Hutchinson & Andrew W. Lo & Tomaso Poggio

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

**Bond markets where prices are driven by a general marked point process**

*by*Björk, T. & Kabanov, Y. & Runggaldier, W.

**Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts**

*by*Nielsen, J. Aase & Klaus Sandmann

**The Pricing of Asian Options under Stochastic Interest Rates**

*by*Nielsen, J. A. & K. Sandmann

**Market Volatility and Feedback Effects from Dynamic Hedging**

*by*Frey, Rüdiger & Alexander Stremme

**Binomial Models for Option Valuation - Examining and Improving Convergence**

*by*Leisen, D. P. J. & M. Reimer

**A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk**

*by*Frey, Rüdiger & Daniel Sommer

**Equity-linked life insurance - a model with stochastic interest rates**

*by*Nielsen, J. Aase & Klaus Sandmann

**A Discrete Time Approach for European and American Barrier Options**

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

**Closed form representations for the minimal hedging portfolios of American type contingent claims**

*by*A. N. Vishnyakov & Kramkov, D.O.

**On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales**

*by*Christopeit, Norbert

**Contingent Claims Valued And Hedged By Pricing And Investing In A Basis**

*by*Frank Milne & Dilip Madan

**Implementing Option Pricing Models When Asset Returns Are Predictable**

*by*Andrew W. Lo & Jiang Wang

**Put-call parities and the value of early exercise for put options on a performance index**

*by*Roon, F.A. de & Veld, C.H.

**The Valuation of American Options on Multiple Assets**

*by*Mark Broadie & Jérôme B. Detemple

**American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods**

*by*Mark Broadie & Jérôme B. Detemple

**American Capped Call Options on Dividend Paying Assets**

*by*Mark Broadie & Jérôme B. Detemple

**Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates**

*by*Miltersen, K. & K. Sandmann & D. Sondermann

**Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets**

*by*Kramkov, D.O.

**On Short Rate Processes and Their Implications for Term Structure Movements**

*by*Schlögl, Erik & Daniel Sommer

**Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates**

*by*D. Sondermann & K. Miltersen

**On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures**

*by*D. Sondermann & Sandmann, K.

**Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options**

*by*David S. Bates

**Realignment Risk and Currency Option Pricing in Target Zones**

*by*Bernard Dumas & L. Peter Jennergren & Bertil Naslund

**The Present Value Model of Rational Commodity Pricing**

*by*Robert S. Pindyck

**Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures**

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

*by*Sergio H. Lence & Dermot J. Hayes

**A Term Structure Model and the Pricing of Interest Rate Derivative**

*by*K. Sandmann & Sondermann, D.

**On the use of the Black & Scholes model in a stochastic interest rate economy**

*by*Krister Rindell

**Existence and optimality of equilibria in markets with tradeable derivative securities**

*by*Henrotte,Philippe

**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

**The Information Content of Prices in Derivative Security Markets**

*by*Louis O. Scott

**On the behaviour of the Finnish stock index options markets**

*by*Vesa Puttonen

**Option Pricing With V. G. Martingale Components**

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

**The Multinomial Option Pricing Model and Its Brownian and Poisson Limits**

*by*Frank Milne & Dilip Madan & Hersh Shefrin

**The Pricing Mechanism of Primary Commodities since the 1970s**

*by*Kuchiki, Akifumi

**Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models**

*by*Joshua Angrist

**Manipulations and repeated games in future markets**

*by*Chichilnisky, Graciela

**Measuring patterns of price movements in the Treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**The Hedging Effectiveness of Currency Futures Markets**

*by*Dale, Charles

**Usefulness of Treasury Bill Futures as Hedging Instruments**

*by*Cicchetti, Paul & Dale, Charles & Vignola, Anthony

**The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications**

*by*Vignola, Anthony & Dale, Charles

**The arc sine law and the treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**Is the Futures Market for Treasury Bills Efficient?**

*by*Vignola, Anthony & Dale, Charles

**The Stochastic Finite Element Method and Application in Option Pricing**

*by*Look, Stefan

**Designing the Financial Tools to Promote Universal Free-Access to AIDS Care**

*by*Patrick Leoni & Stéphane Luchini

**Design the Financial Tool to Promote Universal Free Access to AIDS Care**

*by*Patrick Leoni & Stéphane Luchini

**Corporate Bond Valuation with Both Expected and Unexpected Default**

*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

**Convertible Subordinated Debt Valuation and "Conversion in Distress"**

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

**Coupon Bond Valuation with a Non-Affine Discount Yield Model**

*by*Peter D Spencer

**Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates**

*by*Aaron Tornell & Chunming Yuan

**Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market**

*by*Palani-Rajan Kadapakkam & Umesh Kumar

**“Stock PIKs”- Taking a firm by its tails**

*by*Karan Bhanot & Antonio S. Mello

**Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses**

*by*An-Sing Chen & Hui-Jyuan Gao & Mark Leung

**Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets**

*by*Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse

**The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures**

*by*Jullavut Kittiakaraskun & Yiuman Tse & George H.K. Wang

**Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index linked commodity futures for up to one hour but disappears when using daily data. Also, the economic significance of index to non-index commodity transmission declines to zero within about an hour. Finally, we find that the magnitude of index-to-non index returns relationships are positively related to the amount of speculation, both long and short, in the GSCI commodity index futures contract. We conclude that speculative pressures exerted by commodity index investors can impact non-index commodities. These results are likely not due to speculative pressure itself, but rather the subsequent price destabilizing trades of uninformed, positive feedback traders**

*by*Yiuman Tse & Michael Williams

**The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger-causality in either direction. An EGARCH model shows that significant volatility spillovers flow from the stock market to the carry trade market, but not vice versa. The markets are more correlated in periods of high volatility. Volatilities in both markets also increase more with negative innovations than positive innovations. A sectoral analysis of the index suggests that volatilities of cyclical stocks have more impact than non-cyclical stocks on carry trades**

*by*Yiuman Tse & Lin Zhao

**2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia**

*by*Jason West

**Credit Spread Specification and the Pricing of Spread Options**

*by*Nicolas Mougeot

**La volatilité des prix du pétrole**

*by*Chevalier, Jean-Marie

**Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets**

*by*Russo, Francesco & Oudjane, Nadia & Goutte, Stéphane

**A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives**

*by*Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG

**Collateral Smile**

*by*Markus LEIPPOLD & Lujing SU

**Detecting Informed Trading Activities in the Options Markets**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

*by*Marc CHESNEY & Alexander KEMPF

**Predictive Power of Information Market Prices**

*by*Maria PUTINTSEVA

**Weak Approximation of G-Expectations**

*by*Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER

**Conditional Density Models for Asset Pricing**

*by*Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA

**Ambiguity Aversion and the Term Structure of Interest Rates**

*by*Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani

**Semi-Parametric Estimation of American Option Prices**

*by*Patrick Gagliardini & Diego Ronchetti

**Martingale Representation Theorem for the G-expectation**

*by*Halil Mete SONER & Nizar TOUZI & Jianfeng ZHANG

**Liquidity Models in Continuous and Discrete Time**

*by*Selim GOKAY & Alexandre F. ROCH & Halil Mete SONER

**The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries**

*by*Dirk Hackbarth & Jianjun Miao

**A Market Model for Stochastic Implied Volatility**

*by*Schönbucher, Philpp J.

**Stock Evolution under Stochastic Volatility: A Discrete Approach**

*by*Leisen, Dietmar P.J.

**Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data**

*by*Bent Jesper Christensen & Morten Ø. Nielsen